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SECURITIES TRANSACTION MANAGEMENT SYSTEM
TECHNICAL FIELD
The present invention relates to a technique for securities
trading, and more particularly, relates to a technique effectively
applied to a securities trading management system that supports a
trading using a dark pool.
BACKGROUND ART
A securities company (sell side) accepts a large quantity of
orders for valuable securities trading from an asset management
company (buy side) such as an institutional investor, and actually
deals the trading through a market and others. In recent years,
in order to, for example, avoid an influence on trade prices from
performing a large-quantity buying and selling on the market, a
service of a so-called dark pool that performs the trading by
matching the investor's buying and selling orders in an information
processing system on the sell side is provided. In this case,
anonymity of order information such as information of a trading
participant, a price, and an order quantity is secured, and
improvements of an order execution rate and an order execution unit
price and others can be expected, and therefore, use of the dark
pool has been expanded among institutional investors who desire to
keep an operation plan confidential, the operation plan being
relative to buying and selling of an individual issue in a fund and
others.
As a technique relative to the dark pool, for example, Japanese
Patent Application Laid-Open Publication No. 2010-224710 (Patent
Document 1) describes a mechanism that is capable of reducing a time
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loss involved in making a decision whether to forward an order to
either an in-house dark pool or a stock exchange by taking a method
of simultaneously transmitting new order information to both of an
in-house trading system and an external trading market system.
Further, Japanese Patent Application Laid-Open Publication
No. 2013-130936 (Patent Document 2) describes a mechanism that
improves an order execution rate of an algorithm order having
complicated order conditions under a dark pool environment by
periodically performing matching processing between buying and
selling order data at a predetermined interval based on a matching
logic corresponding to an algorithmic trading group having a
plurality of algorithmic trading types.
RELATED ART DOCUMENTS
PATENT DOCUMENTS
Patent Document 1: Japanese Patent Application Laid-Open
Publication No. 2010-224710
Patent Document 2: Japanese Patent Application Laid-Open
Publication No. 2013-130936
SUMMARY OF THE INVENTION
PROBLEMS TO BE SOLVED BY THE INVENTION
In a conventional technique, in the dark pool provided by each
of the sell sides, each of the buy sides is capable of performing
the trading while securing the anonymity of the order information.
However, it is difficult to achieve a more sophisticated and extended
mechanism that enhances liquidity such as linkage with a dark pool
provided by another sell side and achievement of a dark pool to which
a plurality of sell sides participate.
Further, in a conventional technique, the matching is
performed based on an order that has actually been placed to
establish the trading. However, for example, a future potential
order planed in an operation plan by the buy side cannot be a subject
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of the matching, and therefore, the conventional technique
consequently causes a case of the trading under a condition that
is not always the best for a trading timing and an execution
destination.
Thus, an object of the present invention is to provide a
securities trading management system capable of achieving a linkage
of a dark pool provided by a plurality of sell sides or a dark pool
to which a plurality of sell sides participate and capable of
matching even a potential order on the buy side.
The above and other object and novel characteristics of the
present invention will be apparent from the description of the
present specification and the accompanying drawings.
MEANS FOR SOLVING THE PROBLEMS
The summary of the typical aspects of the inventions disclosed
in the present application will be briefly described as follows.
A securities trading management system according to a typical
embodiment of the present invention is a securities trading
management system that accepts an order from a counterparty and
manages a securities trading performed by a sell side, and it
includes: one or more information processing systems inducing an
order management system in which the buy side or the sell side that
becomes a participant participating in the securities trading
manages an order from a counterparty; and a potential order pool
system that records information on an indication of interest (TOT)
of each of the participants to a database, the information being
obtained from the information processing system, and that matches
buying and selling between the orders included in each TOT.
EFFECTS OF THE INVENTION
The effects obtained by the typical aspects of the present
invention disclosed in the present application will be briefly
described below.
That is, according to the typical embodiment of the present
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invention, a linkage with a dark pool provided by a plurality of
sell sides or a dark pool to which a plurality of sell sides
participates can be achieved, and besides, a potential order on the
buy side can be matched.
BRIEF DESCRIPTIONS OF THE DRAWINGS
FIG. 1 is a diagram illustrating an outline of a configuration
example of a securities trading management system according to a
first embodiment of the present invention;
FIG. 2 is a diagram illustrating an outline of an example of
a POP service according to the first embodiment of the present
invention;
FIG. 3 is a diagram illustrating an outline of an example of
matching between a buy side and a sell side in a POP according to
the first embodiment of the present invention;
FIG. 4 is a sequence diagram illustrating an outline of an
example of matching processing between the buy side and the sell
side in the POP according to the first embodiment of the present
invention;
FIG. 5 is a diagram illustrating an outline of an example of
matching between the buy sides in the POP according to the first
embodiment of the present invention;
FIG. 6 is a sequence diagram illustrating an outline of example
of matching processing between the buy sides in the POP according
to the first embodiment of the present invention;
FIG. 7 is a diagram illustrating an outline of another example
of matching between the buy sides in the POP according to the first
embodiment of the present invention;
FIG. 8 is a sequence diagram illustrating an outline of another
example of matching processing between the buy sides in the POP
according to the first embodiment of the present invention;
FIG. 9 is a diagram illustrating an outline of another example
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of matching between the buy side and the sell side in the POP
according to the first embodiment of the present invention;
FIG. 10 is a sequence diagram illustrating an outline of an
example of matching processing between the buy side and the sell
side in the POP according to the first embodiment of the present
Invention;
FIG. 11 is a sequence diagram illustrating an outline of an
example of matching processing between participants in the POP
according to a second embodiment of the present invention; and
FIG. 12 is a sequence diagram illustrating an outline of
another example of matching process between the participants in the
POP according to the second embodiment of the present invention.
BEST MODE FOR CARRYING OUT THE INVENTION
Hereinafter, embodiments of the present invention will be
described in detail with reference to the accompanying drawings.
Note that the same components are denoted by the same reference
symbols in principle throughout all the drawings for describing the
embodiments, and the repetitive description thereof will be
omitted.
(First Embodiment)
<System Configuration>
FIG. 1 is a diagram illustrating an outline of a configuration
example of a securities trading management system according to a
first embodiment of the present invention. A securities trading
management system 1 has a configuration in which information
processing systems such as a plurality of buy side systems 300, a
plurality of sell side systems 200, and a potential order pool system
100 are connected to a network 10 such as the Internet. Each of
the buy side systems 300 is the information processing system
including an order management system of each of the buy sides 30
(an asset management company or others) or others, and each of the
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sell side systems 200 is the information processing system including
an order management system of each of the sell sides 20 (a securities
company or others) or others.
The potential order pool system 100 is the information
processing system operated and managed by a business operator that
is independent from and at a neutral position between each of the
buy sides 30 and each of the sell sides 20, and it has a function
of providing a "potential order pool (hereinafter, abbreviated as
a "POP")" service as an application service provider (ASP) service
and others, the service establishing the trading by obtaining and
accumulating information on indication of interest ( IOI : "statement
of trading intention") including a "potential order" from each of
the buy sides 30 and each of the sell sides 20 and by matching the
buying and the selling.
A person in charge or others on each of the sell sides 20
accesses the sell side system 200 of his or her own company by using
a not-illustrated Web browser or others in a sell side terminal 21
which is an information processing terminal used by himself or
herself, and performs operations on the sell side 20. The person
in charge or others may also transmit or receive data by directly
accessing the POP system 100. Similarly, a person in charge or
others on each of the buy sides 30 accesses the buy side system 300
of his or her own company by using a not-illustrated Web browser
or others in a buy side terminal 31 which is an information processing
terminal used by himself or herself, and performs operations on the
buy side 30. The person in charge or others may also transmit or
receive data by directly accessing the POP system 100.
Each of the systems of the POP system 100, the sell side system
200, and the buy side system 300 is implemented by, for example,
one or more server devices, a virtual server constructed on a cloud
computing service, or others. It is desirable to operate and monitor
each of the systems on, for example, a common system platform by
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the same IT business operator from a viewpoint of provision of the
POP service by centrally accumulating the information on the IOI
including the "potential order" from the buy side 30 and the sell
side 20. However, the operation and monitoring are not always
limited to this manner.
The sell side system 200 includes, for example, a sell side
OMS 210 that is an order management system (OHS: order management
system) on the sell side 20, and a back system 220 that is a back
office system. The sell side OHS 210 has a function of executing
the buying and selling orders online to an exchange system 40 such
as the Tokyo Stock Exchange through the network 10 or others. The
buy side system 300 includes, for example, a buy side CMS 310 that
is an order management system on the buy side 30, and a back system
320 that is a back office system.
The POP system 100 includes each data store such as a potential
order pool (POP) database (DB) 121, a buy side master DB 122, a sell
side master DB 123, and a setting DB 124, that are implemented by,
for example, a database, a file table, or others . It may also include
each unit such as a matching processing unit 110 implemented as
software having a function of providing the POP service to each of
the buy sides 30 and each of the sell sides 20.
The POPDB 121 is a table that stores information on the IOI
including the "potential order" obtained from the sell side system
200 (or the sell side terminal 21) and the buy side system 300 (or
the buy side terminal 31). It may store not only the information
but also sharable data of various information used in order
processing, such as data that has been accepted for disclosure
between the buy side 30 and the sell side 20.
The buy side master DB 122 and the sell side master DB 123
are tables that hold master information on the buy side 30 and the
sell side 20 that can receive the POP service by accessing the POP
system 100, respectively. The table may also include account
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information on a user. The setting DB 124 is a table that holds
various types of the setting information on operation and processing
of the POP system 100 or others. It may also hold setting information
unique to each of the sell sides 20 and each of the buy sides 30.
As the POP service, the matching processing unit 110 has a
function of establishing the trading by obtaining and accumulating
the information on the IOI including the "potential order" from each
of the buy sides 30 and the sell sides 20 and matching the buying
and selling by using a method described below. It may also have
a function of relaying and mediating a notification relative to the
trading establishment, subsequent order placement/acceptance
between the buy side 30 and the sell side 20, and a processing for
order execution.
<Potential Order Pool (POP) Service>
FIG. 2 is a diagram illustrating an outline of an example of
the POP service according to the present embodiment. A potential
order pool (POP) 120 is obtained by schematically illustrating a
conceptual dark pool achieved by the POPDB 121, the matching
processing unit 110, and others in the POP system 100.
In a trade between an investor and a securities company, the
IOI is stated as useful reference information for establishing the
trade to find a trading partner in some cases. In this case, the
ICI includes contents of an order scheduled to be conducted,
information on desirable or supportable conditions, or others.
Therefore, by using this, a trade intended to be executed on that
day can be efficiently matched and be established.
On the other hand, for example, an institutional investor (buy
side 30) has a trade (hereinafter, referred to as a "potential
order") that is certainly scheduled to be conducted in the near
future although not necessarily scheduled to be conducted on that
day in some cases. The cases include, for example, a case in which
a buying/selling timing is decided in accordance with an operation
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plan over a certain period of time, a case in which the buying/selling
of a large quantity is distributed into a plurality of times =order
to avoid an influence on the market, and others. In any case,
information on what kind of the buying/selling is scheduled in the
near future should be fundamentally concealed on the buy side 30,
and it is general not to disclose the information.
However, such potential order is not a type of an order that
is definitely conducted on a scheduled day in the future. For
example, flexible handling such as the conduction of the
buying/selling on that day regardless of the schedule is taken if
a certain sell side 20 (broker) states the IOI with a particularly
advantageous condition for a target issue on that day and it is
decided that the buying/selling at this timing is effective.
Conventionally, such decision has been made manually by, for example,
a trader of the buy side 30 or others.
Therefore, while information confidentiality in the dark pool
Is utilized, the present embodiment forms the POP 120 by obtaining
information on such a potential order as the IOI from the buy side
30 so as to be a matching target in the trading on that day.
As described above, for example, when the buy side system 300
and the POP system 100 are operated and managed by the same
neutrally-positioned business operator, it can be said that a
coverage for reference of the information on the potential order
that has originally been managed by the buy side system 300 is only
expanded by the same business operator, and therefore, there are
less psychological and physical barriers for the information
disclosure. Further, by using such a configuration in which each
of the sell sides 20 states the IOI to the POP 120 that is operated
and managed by the neutrally-positioned business operator, the dark
pools of the plurality of the sell sides 20 can be linked with one
another. Besides, transparency, fairness, and impartiality of the
dark pool service can be ensured.
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The example of FIG. 2 shows a state in which a buy side A (30a) ,
a buy side B (30b) , a sell side A (20a) , and a sell side B (20b)
participate in the POP 120 so that the IOT information including
the potential order (illustrated in tables of I0I32a and 32b and
I0I22a and 22b in the drawing) is registered. The POP system 100
obtains the EDI information from the buy side 30 and the sell side
20 through, for example, communication based on a Financial
Information exchange (FIX) protocol or transmission and reception
of a file, and accumulates the TOI information in the POPDB 121,
and matching of the buying and selling between the 'Ors is performed
by the matching processing unit 110. An algorithm of the matching
or others is not particularly limited, and any publicly-known method
can be appropriately used.
Note that an order-execution unit price at the time of matching
can be set to, for example, a previous close price or a medium price
of that day on a stock exchange. Further, the matching is not limited
to be performed between the buy side 30 and the sell side 20, but
also is performed between the buy sides 30 or between the sell sides
as described later. The information on the counterparty' s trade
20 contents that is reported to an object buy side 30 or an object sell
side 20 when the matching is established is basically anonymized.
However, for example, if the counterparty is previously registered
in the setting DB 124 or others as a client, the information on the
counterparty may be disclosed thereto.
< (1) Matching Between Buy Side and Sell Side >
FIG. 3 is a diagram illustrating an outline of an example of
matching between the buy side 30 and the sell side 20 in the POP
120 according to the present embodiment. The example of FIG. 3 shows
that the buying and the selling are matched for an issue "AA" between
the ICI 32a stated by the buy side A (30a) and the IOT 22a stated
by the sell side A (20a) .
In this case, for example, information on the order placement
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is transmitted from the buy side system 300 of the buy side A (30a)
to the sell side system 200 of the sell side A (20a) by a message
of the FIX protocol. On the sell side A (20a), the order to the
exchange system 40 is executed based on the order placement
information. The data on the order execution is sent to the buy
side A (30a) by, for example, the transmission and reception of the
file or others through the POP system 100.
FIG. 4 is a sequence diagram illustrating an outline of an
example of matching processing between the buy side 30 and the sell
side 20 in the POP 120 according to the present embodiment. First,
each of the buy side 30 (i.e. the buy side system 300 or the buy
side terminal 31, the same applies below) and the sell side 20 (i.e.
the sell side system 200 or the sell side terminal 21, the same
applies below) registers IOI information to the POP 120 (i.e. the
POP system 100, the same applies below) by using the message of the
FIX protocol or the file (S01). The POP 120 performs the matching
at a predetermined timing (S02), and notifies each of the object
buy side 30 and the object sell side 20 of the matched trade (S03).
Each of the buy side 30 and the sell side 20 that has received
the report of the matching result notifies the POP 120 of a response
of either Ack (acknowledgement) or Rej (rejection) relative to the
matched contents (SO4). The POP 120 determines that the trade has
been established if both of the responses are Ack (S05), and notifies
the buy side 30 and the sell side 20 that the trade has been
established (S06). Then, as the conduction of the established trade,
an order is placed from the buy side 30 to the sell side 20 by the
message of the FIX protocol (S07), and the buy side 30 is notified
of the order-execution contents which are a result of the execution
on the sell side 20 (S08).
< (2) Matching between Buy Sides (Designation For Execution
Destination) >
FIG. 5 is a diagram illustrating an outline of an example of
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matching between the buy sides 30 in the POP 120 according to the
present embodiment. As described above, in the present embodiment,
the IOI can be matched between the buy sides 30. The example of
FIG. 5 shows that the buying and the selling are matched for an issue
"AA" between the IOI 32a provided by the buy side A (30a) and the
IOI 32b provided by the buy side B (30b).
In this case, both of the buy sides 30 individually perform
the order placement processing to a predetermined sell side 20 with
which each of the buy sides 30 has a trading contract. The example
of FIG. 5 shows a case of the order placements from the buy side
A (30a) to the sell side A (20a) and from the buy side B (30b) to
the sell side B (20b). To the order placement information,
information of the sell side 20 that is an order placement
destination of the buy side 30 that is a counterparty of the matching
is added by the buy side system 300 or the POP 120 as information
of a broker (sell side 20) that is a cross-trading destination. For
example, information of the sell side B (20b) that is an order
placement destination of the buy side B (30b) that is a counterparty
of the matching is added to the order placement information output
from the buy side A (30a).
Accordingly, the sell side 20 that has received the order
placement information can check the information of the sell side
20 that is a cross-trading counterparty, and can execute the
cross-trading with the sell side 20 to the exchange system 40. Note
that the notification of the order execution data from each of the
and therefore, a description thereof is omitted.
FIG. 6 is a sequence diagram illustrating an outline of an
example of matching processing between the buy sides 30 in the POP
120 according to the present embodiment. First, each of the buy
sides 30 (two buy sides that are the buy side A (30a) and the buy
side B (30b) in the example of FIG. 6) registers IOI information
to the POP 120 (S11). The POP 120 performs the matching at a
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predetermined timing (S12), and notifies each of the buy side A (30a)
and the buy side B (30b) of the matched trade (S13).
Each of the buy side A (30a) and the buy side B (30b) that
has been notified of the matching result selects a broker (sell side
20) that executes the trade, and notifies the POP 120 of a response
of either Ack (acknowledgement) or Rej (rejection) (S14). As
described above, the broker described here is, for example, the sell
side 20 with which each of the buy sides 30 has a trade contract.
The broker may be automatically selected by previously registering
the information on the object sell side 20 to the setting DB 124
of the POP system 100 as a default value.
The POP 120 that has received the broker designation notifies
the buy side A (30a) and the buy side B (30b) that the trade is in
progress (S15), and makes a request for cross-trading to each of
the sell sides 20 (the sell side A (20a) and the sell side B (20b)
in the example of FIG. 6) that have been designated as the broker
(S16) . The request includes an issue relative to the cross-trading,
information on each of the buy sides 30, information of the broker
that is a cross-trading counterparty, and others.
Each of the sell side A (20a) and the sell side B (20b) that
has received the request for the cross-trading notifies the POP 120
of a response of either Ack (acknowledgement) or Rej (rejection)
(S17). The POP 120 determines that the trade has been established
if both of the responses are Ack (S18), and notifies the buy side
A (30a) and the buy side B (30b) of the trade establishment (S19).
Then, as the conduction of the established trade, an order
is placed from the buy side A (30a) and the buy side B (30b) to the
sell side A (20a) and the sell side B (20b) by using a message of
the FIX protocol (S20), the cross trading is executed between the
sell side A (20a) and the sell side B (20b) (S21), and then, each
of the buy side A (30a) and the buy side B (30b) is notified of the
order-execution contents (S22). Information required for the
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cross-trading (S21) maybe added to information at the time of order
placement (S20). Alternatively, information passed at the time of
the request for the cross-trading (S16) may be used.
Note that the above-described example shows the case of the
matching between the buy sides 30. However, the same applies to
a case of the matching between the sell sides 20.
<(3) Matching Between Buy Sides (Bidding for Commission)>
FIG. 7 is a diagram illustrating an outline of another example
of the matching between the buy sides 30 in the POP 120 according
to the present embodiment. The example of FIG. 7 shows a case in
which, after the matching between the buy sides 30 as similar to
the matching illustrated in FIG. 5 described above, bidding for a
commission is made to a plurality of sell sides 20 with which both
of the buy sides 30 have the trade contract and the sell side 20
offering the lowest commission is determined as the order placement
destination. That is, the sell side 20 that becomes the order
placement destination is determined by "commission competition".
In the example of FIG. 7, the bidding for the commission is made
to the sell side A (20a), the sell side B (20b), and a sell side
C (20c), and then, the sell side A (20a) that has offered the lowest
commission of "1 BP (= 0.01%)" is automatically determined as the
order placement destination.
FIG. 8 is a sequence diagram illustrating an outline of another
example of matching processing between the buy sides 30 in the POP
120 according to the present embodiment. As similar to the example
of FIG. 6 described above, first, each of the buy sides 30 (two buy
sides that are the buy side A (30a) and the buy side B (30b) in the
example of FIG. 7) registers the IOI information to the POP 120 (S31).
The POP 120 performs the matching at a predetermined timing (S32),
and notifies each of the buy side A (30a) and the buy side B (30b)
of the matched trade (333).
Each of the buy side A (30a) and the buy side B (30b) that
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has been notified of the matching result notifies the POP 120 of
designation for the selection of the broker (sell side 20) that
executes the trade by the bidding for the commission (S34). The
POP 120 that has received the request for the bidding notifies the
buy side A (30a) and the buy side B (30b) that the trade is in progress
(S35), and makes a request for the bidding for the commission to
the sell sides 20 (the sell side A (20a) and the sell side B (20b)
in the example of FIG. 7) with which each of the buy sides 30 has
a trade contract (S36). The bidding includes an issue relative to
the trade, a quantity thereof, information on each of the buy sides
30 taking the buying position and the selling position, and others.
Each of the sell side A (20a) and the sell side B (20b) that
has received the request for the bidding sets and responds the BP
of the commission as a condition offer (S37). A value of the BP
may be input and set each time on a sell side system 200 side, or
may be previously registered each time to the sell side system 200
or the setting DB124 of the POP system 100 for each of the buy sides
30. In a case in which the sell side 20 has selected not to
participate in the "commission competition", a fact of the selection
can be also responded. A case without the response within a certain
time may be automatically handled as the case of no participation.
If the condition has been offered from all of the object sell
sides 20 or if a predetermined time has passed, the POP 120 notifies
the buy side A (30a) and the buy side B (30b) of a list of the
conditions offered from the sell sides 20 (S38). A candidate for
the order placement destination is the sell side 20 offering the
lowest BP of the commission (if the values of the BP are the same
as one another, the sell side 20 that has offered the condition (step
S37) at the earliest time) . If each of the buy sides 30 is determined
as the order placement destination under the condition, the POP 120
is notified of the determination (S39). The POP 120 that has
received the determination notification from each of the buy sides
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30 notifies the sell side 20 (the sell side A (20a) in the example
of FIG. 8) determined as the order placement destination of the trade
establishment (S40) , and notifies the other sell side 20 (the sell
side B (20b) in the example of FIG. 8) of failure of the trade
.. establishment (S41) .
By the above-described processing, the buy side 30 can perform
the trade under a condition with an advantageous commission.
Further, the sell side 20 can participate in a commission competition
of a large-quantity order, and can gain an opportunity of consigned
buying and selling.
< (4) Matching Between Buy side and Sell side (Designation
For Execution Destination) >
FIG. 9 is a diagram illustrating an outline of another example
of matching between the buy side 30 and the sell side 20 in the POP
.. 120 according to the present embodiment. The example of FIG. 9 shows
a case of, as a result of the matching between the buy side A (30a)
and the sell side A (20a) as similar to the matching illustrated
in FIG. 3 described above, placing an order to the sell side B (20b)
different from the sell side A (20a) that has been matched.
In this case, information on the order placement is
transmitted by a message of the FIX protocol from the buy side system
300 of the buy side A (30a) to the sell side system 200 of the sell
side B (20b) . To the order placement information, information on
the sell side 20 (the sell side A (20a) in the example of FIG. 9)
that is the matched counterparty is added by the buy side system
300 or the POP 120. Thus, the sell side B (20b) that has received
the order placement information can check the information on the
sell side A (20a) to be a cross-trading counterparty, and can execute
the cross-trading made with the sell side A (20a) to the exchange
system 40.
FIG. 10 is a sequence diagram illustrating an outline of an
example of matching processing between the buy side 30 and the sell
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side 20 in the POP 120 according to the present embodiment. As
similar to the example of FIG. 4 described above, first, each of
the buy side 30 and the sell side A (20a) registers the IOI
information to the POP 120 by a message of the FIX protocol or a
file (S51). The POP 120 performs the matching at a predetermined
timing (S52), and notifies each of the object buy side 30 and the
object sell side A (20a) of the matched trade (S53).
The buy side 30 that has received a notification of the
matching result selects a broker (sell side 20) that executes the
trade, and designates a response of either Ack (acknowledgement)
or Rej (rejection) to the POP 120 (S54). As described above, the
broker described here is, for example, the sell side 20 (the sell
side B (20b) in the example of FIG. 10). The broker may be
automatically selected by previously registering the information
on the object sell side 20 to the setting DB 124 of the POP system
100 as a default value.
Further, the sell side A (20a) that has received the
notification of the matching result notifies the POP 120 of the
response of either Ack (acknowledgement) or Rej (rejection)
relative to the matched contents (S55). If the POP 120 receives
the response of the Ack with the designation for the broker from
the buy side 30 and the response of the Ack from the sell side A
(20a), the POP 120 makes a request for the cross-trading to the sell
side B (20b) that has been designated as the broker (S56). The
request includes an issue relative to the cross-trading,
information on the buy side 30, information on the broker that is
the cross-trading counterparty, and others.
The sell side B (20b) that has received the request for the
cross-trading notifies the POP 120 of the response of either Ack
(acknowledgement) or Rej (rejection) (S57). If the POP 120 receives
the response of Ack, the POP 120 determines of the trade
establishment (S58), and notifies the buy side 30 and the sell side
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A (20a) that the trade has been established (S59). Then, as the
conduction of the established trade, an order is placed from the
buy side 30 to the sell side 20 by a message of the FIX protocol.
(S60), the cross-trading is executed between the sell side A (20a)
and the sell side B (20b) (S61), and then, the buy side 30 is notified
of the order-execution contents (S62).
As similar to the example of FIG. 6 described above,
information required for the cross-trading (S61) may be added to
information at the time of order placement (S60). Alternatively,
information passed at the time of the request for the cross-trading
(S56) may be also used.
As described above, in the securities trading management
system 1 according to the first embodiment of the present invention,
in the POP system 100 operated and managed by a business operator
that is neutrally positioned for the buy side 30 and the sell side
20, the IOI information including a potential order of one or more
buy sides 30 and the IOI information of one or more sell sides 20
are accumulated and are matched in the POPDB 121. Accordingly, the
dark pools of the plurality of sell sides 20 can be linked with one
another, and therefore, the buy side 30 can establish the trade under
a suitable condition in a broader range. Further, a dark pool
service that ensures transparency, fairness, and impartiality can
be provided.
Further, a trade that is scheduled to be distributed over a
certain period in the future can be executed at a timing causing
a more suitable condition by obtaining the potential order of the
buy side 30 as the IOI information and setting the potential order
as a matching target.
(Second embodiment)
The above-described first embodiment has explained that a case
in which the buy side 30 becomes a participant and a case in which
the sell side 20 becomes a participant are distinguished from each
CA 03026273 2018-12-03
other in the trade in the POP 120, and explained contents of
processing for four possible patterns that are (1) matching between
the buy side 30 and the sell side 20, (2) matching between the buy
sides 30 (the cross-trading with the designation for the execution
destination), (3) matching between the buy sides 30 (the bidding
for the commission), and (4) matching between the buy side 30 and
the sell side 20 (the designation for the execution destination).
Meanwhile, in consideration of reality, business practices,
and others on a practical operation in implementing the securities
trading management system 1, it is normally unclear which one of
the buy side 30 and the sell side 20 becomes the matching counterparty
at the time of matching in the POP 120, and therefore, it is difficult
to distinguish a processing flow depending on whether the
participant is the sell side 20 or the buy side 30 in some cases.
Further, for example, in the case (1) of the matching between
the buy side 30 and the sell side 20, it is normally difficult to
cause a case in which the buy side 30 does not designate the sell
side 20 (executing broker) that is an execution destination.
Similarly, in the case (4) of the matching between the buy side 30
and the sell side 20, for example, even if there is no trade contract
between the buy side 30 and the sell side 20 that are matched, it
is naturally considered to designate the sell side 20 (executing
broker) having the trade contract.
Therefore, it can be considered that, without distinguishing
whether the trade counterparty in the POP 120 is the buy side 30
or the sell side 20, it is sufficient to implement two patterns of
a case (A) of designating the sell side 20 (executing broker) that
is the execution destination after the matching is performed among
the participants; and a case (B) of determining the sell side 20
( executing broker) that is the execution destination by a commission
competition after the matching is performed among the participants
practically.
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FIG. 11 is a sequence diagram illustrating an outline of an
example of matching process between the participants in the POP 120
according to the present embodiment. The following shows a
processing flow of the above-described case (A) of designating the
executing broker after the matching is performed among the
participants. Basically, this processing is the same as the
above-described processing of the case (2) of the matching between
the buy sides 30 (the cross-trading with the designation for the
execution destination) as illustrated in FIG. 6 of the first
embodiment, and therefore, a repeated description for overlapping
contents is omitted in some cases. As different from the example
of FIG. 6, in the example of FIG. 11, the participant in the trade
in the POP 120 is not the buy side 30 but a participant 50 (two
participants of a participant A (50a) and a participant B (50b) in
the example of FIG. 11). The participant 50 may be either the buy
side 30 or the sell side 20.
First, each of the participants 50 (two participants of the
participant A (50a) and the participant B (50b) in the example of
FIG. 11) registers the IOI information to the POP 120 (S71). The
POP 120 performs the matching at a predetermined timing (S72), and
notifies each of the participant A (50a) and the participant B (50b)
of the matched trade (S73). Note that the processing up to here
is common between the case (A) of designating the executing broker
after the matching is performed between the participants as
illustrated in the example of FIG. 11 and a case (B) of determining
the executing broker by the commission competition after the
matching is performed between the participants as described later.
In the example of FIG. 11, each of the participant A (50a)
and the participant B (50b) that has received a notification of the
matching result selects a broker (sell side 20) that executes the
trade, and notifies the POP 120 of a response of either Ack
(acknowledgement) or Rej (rejection) (S74). If the participant 50
CA 03026273 2018-12-03
is the buy side 30, the broker described here is, for example, the
sell side 20 with which this buy side 30 has the trade contract.
If the participant 50 is the sell side 20, this sell side 20 itself
normally becomes the execution destination. The example of FIG.
11 shows that the participant A (50a) designates the sell side A
(20a) as the executing broker while the participant B (50b)
designates the sell side B (20b). Note that these executing brokers
are the same sell side 20 as each other in some cases.
The POP 120 that has received destination for the broker
notifies the participant A (50a) and the participant B (50b) that
the trade is in progress (S75), and makes a request for the
cross-trading to each of the sell sides 20 (the sell side A (20a)
and the sell side B (20b) in the example of FIG. 11) that is designated
as the broker (S76). The request includes an issue relative to the
cross-trading, information on each of the buy sides 30, information
on the broker that is a cross-trading counterparty, and others. In
the example of FIG. 11, the cross-trading for the trade of the
participant A (50a) is requested to the sell side A (20a) designated
by the participant A (50a) while the cross-trading for the trade
of the participant B (50b) is requested to the sell side B (20b)
designated by the participant B (50b).
Each of the sell side A (20a) and the sell side B (20b) that
has received the request for the cross-trading notifies the POP 120
of a response of either Ack (acknowledgement) or Rej (rejection)
(S77). The POP 120 determines the trade establishment if both of
the responses are Ack (S78), and notifies the participant A (50a)
and the participant B (50b) that the trade has been established
(S79).
Then, as the conduction of the established trade, an order
is placed from the participant A (50a) and the participant B (50b)
to the sell side A (20a) and the sell side B (20b) that are the
respective executing brokers by a message of the FIX Protocol (S80) .
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After the cross-trading is executed between the sell side A (20a)
and the sell side B (20b) through the exchange system 40 (S81), each
of the participant A (50a) and the participant B (50b) is notified
of the order-execution contents (S82).
FIG. 12 is a sequence diagram illustrating an outline of
another example of the matching processing between the participants
in the POP 120 according to the present embodiment. The following
shows a processing flow of the above-described case (B) of
determining the executing broker by the commission competition
after the matching is performed between the participants.
Basically, this processing is the same as the above-described
processing of the case (3) of the matching between the buy sides
30 (the bidding for the commission) as illustrated in FIG. 8 of the
first embodiment, and therefore, a repeated description for ,
overlapping contents is omitted in some cases. Further, as
described above, the processing of steps S91 to S93 in the example
of FIG. 12 is common to steps S71 to S73 in the example of FIG. 11.
In the example of FIG. 12, as similar to the example of FIG.
11, the participant A (50a) that has received a notification of the
matching result selects the sell side A (20a) as a broker (sell side
20) that executes the trade, and notifies the POP 120 of a response
of either Ack (acknowledgement) or Rej (rejection) (S94). On the
other hand, as different from the example of FIG. 11, the participant
B (50b) that has received a notification of the matching result
notifies the POP 120 of a response of either Ack (acknowledgement)
or Rej (rejection) designating the selection for the broker (sell
side 20) that executes the trade based on bidding for a commission
(S94). The example of FIG. 12 shows a case in which only the
participant B (50b) that is one of the participants 50 designates
the commission competition. However, the same applies to a case
in which both of the participant A (50a) and the participant B (50b)
designate the commission competition.
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The POP 120 that has received the designation for the bidding
for the commission (and the designation for the broker) notifies
the participant A (50a) and the participant B (50b) that the trade
is in progress (S95), and, if the broker is designated, makes a
request for the cross-trading to each of the designated sell sides
20 (the sell side A (20a) designated by the participant A (50a) in
the example of FIG. 12) (S96). The sell side A (20a) that has
received the request for the cross-trading notifies the POP 120 of
a response of either Ack (acknowledgement) or Rej (rejection) (S97).
Further, based on the designation for the bidding for the
commission, the POP 120 makes the request for the bidding for the
commission to each of the sell sides 20 (the sell side A (20a) and
the sell side B (20b) in the example of FIG. 12) (S98). The bidding
includes an issue relative to the trade, a quantity thereof,
information on the participants 50 taking the buying position and
the selling position (the participant B (50b) that has designated
the bidding for the commission in the example of FIG. 12), and others.
Each of the sell side A (20a) and the sell side B (20b) that has
received the request for the bidding sets a BP of the commission
as a condition offer, and notifies the POP 120 of a response of
either Ack (acknowledgement) or Rej (rejection) (S99). Note that,
if both of the participants 50 have designated the bidding for the
commission, each of the sell sides 20 accepts both of the inquiries,
and offers the condition to each of them.
If the condition has been offered from all of the object sell
sides 20 or if a predetermined time has passed, the POP 120 notifies
each of the participants (the participant B (50b) in the example
of FIG. 12) that has designated the bidding for the commission of
a list of the conditions offered from the sell sides 20 (S100). As
similar to the example of FIG. 8, a candidate for the order placement
destination is the sell side 20 offering the lowest BP of the
commission (if the values of the BP are the same as one another,
-24-
the sell side 20 that has offered the condition (step S99) at the
earliest time). If each of the participants 50 is determined as the
order placement destination under the condition, the POP 120 is
notified of the determination (S101).
The POP 120 that has received the determination notification
from each of the participants 50 notifies the sell side 20 (the sell
side A (20a) in the example of FIG. 12) determined as the order
placement destination (S102), and notifies the other sell side 20
(the sell side B (20b) in the example of FIG. 12) of failure of the
trade establishment (S103). Further, it also notifies each of the
participants 50 of the trade establishment (S104).
In the example of FIG. 12, note that the executing broker
designated by the participant A (50a) and the sell side 20 that is
the order placement destination determined as the result of the
bidding for the commission designated by the participant B (50b) are
the same sell side A (20a) as each other. Thus, both of the participant
A (50a) and the participant B (50b) place an order to the sell side
A (20a) (S105), the cross-trading is executed by the sell side A
(20a) through the exchange system 40 (S106), and then, each of the
participant A (50a) and the participant B (50b) is notified of a
notification of the order execution (S107).
A person of skill in the art considers the problems disclosed
herein and sought to be solved by the present disclosure to be
exclusively computer problems and contemplates only solutions to
those problems that include essential computer elements. Abstract
ideas, mere schemes, plans, rules, or mental processes that do not
include computer elements are expressly excluded from this
application.
In the foregoing, the invention made by the present inventors
has been concretely described based on the embodiments. However, it
is needless to say that the present invention is not limited to the
foregoing embodiments and various modifications and alterations can
be made within the scope of the present invention. For example, the
Date Recue/Date Received 2020-05-25
-25-
above-described embodiments have been explained for easily
understanding the present invention, and are not always limited to
the one including all structures explained above. Also, a part of the
structure of one embodiment can be replaced with the structure of
another embodiment, and besides, the structure of another embodiment
can be added to the structure of one embodiment. Further ,another
structure can be added to/eliminated from/replaced with a part of the
structure of each embodiment.
INDUSTRIAL APPLICABILITY
The present invention is applicable to a securities trading
management system that supports operations relative to order
placement and acceptance of a trade and an order-execution processing.
EXPLANATION OF REFERENCE CHARACTERS
1 _.securities trading management system, 10 _.network, 20 _.sell
side, 20a _.sell side A, 20b _.sell side B, 20c _.sell side C, 21
_.sell side terminal, 22a, b ...I0I, 30 _.buy side, 30a _.buy side A,
30b ._buy side B, 31 ._buy side terminal, 32a, b _JO', 40 _.exchange
system, 50a ._participant A, 50b ._participant B, 100 ._potential
order pool system, 110 ._matching processing unit, 120 ._potential
order pool, 121 ._potential order pool DB, 122 _.buy side master DB,
123 _sell side master DB, 124 _setting DB, 200 _sell side system,
210 _sell side OMS, 220 _back system, 300 _buy side system, 310
_buy side OMS, 320 ...back system
Date Recue/Date Received 2020-05-25
